Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments
Year of publication: |
2006
|
---|---|
Authors: | Hochreiter, Ronald ; Pflug, Georg |
Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 28.2006, 3, p. 291-309
|
Publisher: |
Society for Computational Economics - SCE |
Subject: | path-dependent financial instruments | pricing | interest rate models | recombining trees |
-
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X., (2016)
-
Gas storage valuation applying numerically constructed recombining trees
Felix, Bastian Joachim, (2012)
-
Term structure modelling and the dynamics of Australian interest rates
(2006)
- More ...
-
Design and management of unit-linked life insurance contracts with guarantees
Hochreiter, Ronald, (2007)
-
Preface: Applied mathematical programming and modelling 2008
Pflug, Georg, (2012)
-
Editorial: Introduction to the special issue on computational optimization under uncertainty
Hochreiter, Ronald, (2009)
- More ...